| Presentation | 2008-03-07 Evaluation of Trading Algorithms by an Artificial Market Kiyoshi IZUMI, Fujio TORIUMI, Hiroki MATSUI, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In this paper, we proposed an evaluation system of automated trading programs using artificial market simulation. First, our system tested the market impact of automated trading programs. The results revealed that a market impact of an automated trading program may depend not only on a content of its rule but also on a way of combination with other programs. Next, we evaluated risk and returns of the programs under various market environment. The evaluation by an artificial market was able to give richer information than the conventional evaluation by a back test. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Artificial market / Automated trading program / Market mechanism / Multi-agent simulation |
| Paper # | AI2007-61 |
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| Conference Information | |
| Committee | AI |
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| Conference Date | 2008/2/27(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Artificial Intelligence and Knowledge-Based Processing (AI) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Evaluation of Trading Algorithms by an Artificial Market |
| Sub Title (in English) | |
| Keyword(1) | Artificial market |
| Keyword(2) | Automated trading program |
| Keyword(3) | Market mechanism |
| Keyword(4) | Multi-agent simulation |
| 1st Author's Name | Kiyoshi IZUMI |
| 1st Author's Affiliation | DHRC, AIST() |
| 2nd Author's Name | Fujio TORIUMI |
| 2nd Author's Affiliation | Grad. School of Information Science, Nagoya University |
| 3rd Author's Name | Hiroki MATSUI |
| 3rd Author's Affiliation | CMD Laboratory Inc. |
| Date | 2008-03-07 |
| Paper # | AI2007-61 |
| Volume (vol) | vol.107 |
| Number (no) | 523 |
| Page | pp.pp.- |
| #Pages | 5 |
| Date of Issue | |